Correlation: 0.65 · Cointegrated: yes
Z-score: -0.91 entry / -1.70 rolling
Half-life 1.5h · Hurst 0.90 · Hedge ratio 1.20
Pair volatility: 24.44%
Backtest: 76.92% win · Sharpe 3.24 · 2.06% return · 0.78% max drawdown
Pair Analysis: Long ETC / Short UMA
- Roll Z-Score: -2.12 (1h) | -0.36 (4h) | -0.45 (1d)
- Correlation: 0.65 (1h)
- Hedge Ratio (4h): 0.911
- Cointegration: True
Analysis:
- Statistical Divergence: The 1h Roll Z-Score of -2.12 indicates that ETC is currently statistically "cheap" relative to UMA on a short-term basis. This suggests a potential mean-reversion opportunity where the spread could widen back toward the mean. However, this divergence is less pronounced on the 4h (-0.36) and 1d (-0.45) timeframes, implying the opportunity is primarily short-term.
- Sentiment Context: Both assets are currently facing bearish sentiment. ETC is seeing negative social sentiment, while UMA is under pressure due to governance concerns and weak momentum.
- Risk Note: Because both assets share a bearish outlook, this pair trade is essentially a relative-value bet on which asset will underperform more severely, rather than a directional play. The high correlation (0.65) suggests they will likely move in tandem, which may limit the effectiveness of the hedge if the broader market experiences a sharp, correlated sell-off.
Note: Z-scores are snapshots (1h age: 1.2h). Verify if significant price action has occurred since the last update.
ETC
UMA